instoptstock - Construct stock option

InstSet

Variable containing a collection of instruments. Instruments are classified by type; each type can have different data fields. The stored data field is a row vector or string for each instrument. This argument is specified only when adding stock instruments to an existing instrument set. Seeinstget for more information on the InstSet variable.

OptSpec

NINST-by-1 list of string values 'Call' or 'Put'.

Note   The interpretation of the Strike and ExerciseDates arguments depends upon the setting of the AmericanOpt argument. If AmericanOpt = 0, NaN, or is unspecified, the option is a European or Bermuda option. If AmericanOpt = 1, the option is an American option.

Strike

European option: NINST-by-1 vector of strike price values.

Bermuda option: NINST by number of strikes (NSTRIKES) matrix of strike price values.

Each row is the schedule for one option. If an option has fewer than NSTRIKES exercise opportunities, the end of the row is padded with NaNs.

American option: NINST-by-1 vector of strike price values for each option.

Settle

NINST-by-1 vector of settlement dates.

ExerciseDates

NINST-by-1 (European option) or NINST-by-NSTRIKES (Bermuda option) matrix of exercise dates. Each row is the schedule for one option. For a European option, there is only one exercise date, the option expiry date.

For an American option:

NINST-by-2 vector of exercise date boundaries. For each instrument, the option can be exercised on any coupon date between or including the pair of dates on that row. If only one non-NaN date is listed, or if ExerciseDates is NINST-by-1, the option can be exercised between the underlying bond Settle and the single listed exercise date.